is there any steps to create water splashes in zbrush
http://www.badking.com.au/site/shop/organic-custom-brushes/splash-brush-set/
you can find an insertbrush with various splash models as a free download on this site.
if you wanted to create them yourself, you might want to try making a shape with dynamesh for example , then adding a Zsphere as subtool to that mesh , drag the Zbrush node inside the model you appended it to. Then activate Zsketch and you can paint geometry on that general shape you made, after that you can generate a unified mesh from it and smooth it out and stuff.